Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Characteristics

Characteristic Latest Prior Month Two Months Ago
Rank (1 is Worst, 10 is Best) 6 6 5
Score -0.1 1.39 -0.5
Market Cap (Millions USD) 164.05 144.03 133.64
Predicted Beta 0.33 0.33 0.33
Idiosyncratic Volatility 1.15 1.14 1.31

Annualized return and volatility

EWN
Annualized Return 0.0375
Annualized Std Dev 0.2453
Annualized Sharpe (Rf=0%) 0.1527

Row

Daily Return Statistics

EWN
Observations 5112.0000
NAs 2.0000
Minimum -0.1302
Quartile 1 -0.0067
Median 0.0004
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0076
Maximum 0.1437
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0155
Skewness -0.2127
Kurtosis 7.1152

Downside Risk

EWN
Semi Deviation 0.0112
Gain Deviation 0.0109
Loss Deviation 0.0120
Downside Deviation (MAR=210%) 0.0157
Downside Deviation (Rf=0%) 0.0111
Downside Deviation (0%) 0.0111
Maximum Drawdown 0.6522
Historical VaR (95%) -0.0238
Historical ES (95%) -0.0373
Modified VaR (95%) -0.0239
Modified ES (95%) -0.0415
From Trough To Depth Length To Trough Recovery
2007-10-15 2009-03-09 2015-04-23 -0.6522 1929 361 1568
2000-01-04 2003-03-12 2006-03-20 -0.5975 1586 814 772
2018-01-29 2018-12-24 2019-11-05 -0.2397 454 233 221
2015-05-18 2016-02-11 2017-03-09 -0.1960 463 190 273
2006-05-11 2006-06-13 2006-08-29 -0.1537 78 23 55

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec EWN
1999 NA NA NA NA NA NA NA NA NA NA NA NA NA
2000 1.7 1.6 0.0 1.4 -1.0 0.0 -1.3 1.6 0.0 -1.4 2.0 0.0 4.5
2001 1.2 -0.7 0.0 1.6 -0.5 0.0 0.7 0.0 -2.8 1.5 0.0 0.0 1.0
2002 0.7 1.0 2.9 -0.7 0.0 0.0 -3.7 0.0 2.9 0.8 0.0 0.0 3.9
2003 0.0 0.0 3.5 -0.4 0.0 0.1 -0.4 0.0 3.1 0.0 1.0 0.0 6.9
2004 0.0 0.9 1.6 0.0 -0.7 -0.5 0.0 0.8 1.7 -0.7 1.5 0.0 4.7
2005 1.4 -0.2 -1.4 0.0 0.8 -0.3 1.2 0.7 0.0 1.1 1.7 0.0 4.9
2006 0.7 0.7 0.0 -0.9 0.4 0.0 -0.8 0.5 0.0 -0.6 -0.5 0.0 -0.5
2007 0.9 -1.7 0.0 0.1 -0.3 0.0 0.7 0.0 1.6 -1.7 0.0 0.0 -0.6
2008 1.6 0.0 2.5 1.1 0.0 -0.7 -1.0 0.0 0.2 0.0 -8.4 0.0 -5.1
2009 0.0 0.0 2.2 1.2 1.8 1.8 0.0 -2.8 -2.9 0.0 3.0 0.0 4.2
2010 2.3 1.5 2.7 0.0 -1.2 2.2 0.0 3.7 0.8 -0.4 3.9 0.0 16.4
2011 2.7 -0.8 0.7 0.0 -2.3 1.3 -1.2 -1.7 0.0 -4.6 -1.7 0.0 -7.6
2012 2.3 1.1 0.0 0.3 -2.7 0.0 -0.1 0.0 0.8 1.3 0.0 0.0 2.9
2013 1.7 -0.6 -0.8 -0.6 0.0 1.0 1.3 0.0 1.1 -0.6 0.0 0.0 2.5
2014 0.0 0.0 0.8 0.1 0.0 0.5 -0.4 0.0 -1.2 0.0 0.1 0.0 -0.1
2015 0.0 0.0 0.6 1.0 -0.7 1.1 0.0 -2.6 -0.6 0.0 0.2 0.0 -1.0
2016 0.1 3.5 -0.4 0.0 0.5 -0.2 -0.9 0.7 0.0 -0.5 -1.0 0.0 1.8
2017 0.1 1.3 0.0 0.6 0.8 0.0 0.3 0.1 0.0 -0.1 -0.5 0.0 2.6
2018 0.4 -1.0 0.0 -0.5 1.0 0.0 -0.2 0.0 0.2 2.8 0.0 0.0 2.7
2019 0.4 0.5 1.3 -0.7 0.0 0.8 -0.1 0.0 -0.7 1.1 0.0 -0.2 2.3

Row

Rolling Performance Chart

Snail Trail Chart